Most studies on the link between health care expenditure (HCE) and GDP have been analyzed using data intensively from OECD countries, but little is known for other regions. The contribution of this paper is to present new results of several panel unit root and cointegration tests from 11 Asian...

This paper generalizes the existing cointegration analysis literature in two respects. Firstly, the problem of efficient estimation of vector error correction models containing exogenous (1) variables is examined. The asymptotic distributions of the (log- )likelihood ratio statistics for testing...

This paper models the long-run relationship between the Bureau De Change exchange rate and external reserves in Nigeria in a Threshold Vector Error Correction Model (TVECM) framework using daily data that spans from Jan 1, 2014 to Jul 31, 2015. Modeling BDC exchange rate and external reserves...

The empirical growth literature has focused on capital accumulation but largely ignored productivity growth. To address this imbalance, we propose a methodology for analyzing productivity convergence based on frontier production functions. We examine whether departures from the frontier are...

A method for analyzing productivity convergence based on frontier production functions is proposed. It is examined whether departures from the frontier - country-level inefficiencies - exhibit long-run relationships and convergence. The method is applied to 1-digit industries of 14 OECD...

The main purpose of the paper is to contribute to the empirical works relating to exchange rate pass-through. Indeed, we revisit the Taylor (2000) proposition for some developing countries in order to examine the decline in their pass-through coefficients, and to find possible explanations for...

I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more...

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag model is chosen. The results show that a sharp...

This paper presents a novel theoretical and empirical approach to the analysis of long-run economic growth. It shows that most traditional theoretical models share the feature of pair-wise cointegration among the main variables. An augmented Kaldor model is proposed in contrast to the standard...

The co-movement of US sovereign rates suggests a long-run equilibrium relationship.Traditional cointegrated systems need to assume that interest rates are unit roots and thus implying non-stationary and non-mean-reverting dynamics. We postulate and estimate a fractional cointegrated model...